Can stopping eating wheat if you are a suspected coeliac make you feel ill at first?

i have been told to stop eating wheat for 4 months because doctors think there is a good possibiity that i have coeliacs disease but am feeling very ill with all the symptons of eating wheat since not eating wheat!, eg bad headache, stomach pains, lethargy? Has anyone else experienced the same when they first stopped eating wheat. Maybe i should wean off it gradually?